RT Journal Article SR Electronic T1 The Predictability of Alternative UCITS Fund Returns JF The Journal of Alternative Investments FD Institutional Investor Journals SP 76 OP 95 DO 10.3905/jai.2019.22.1.076 VO 22 IS 1 A1 Michael Busack A1 Wolfgang Drobetz A1 Jan Tille YR 2019 UL https://pm-research.com/content/22/1/76.abstract AB The authors study the out-of-sample predictability of the returns of pan-European harmonized mutual funds that follow hedge fund–like investment strategies (“alternative UCITS”) and allow retail investors to gain access to nontraditional investment strategies. Given these funds’ higher liquidity compared with hedge funds, investors could exploit relevant information more easily and use it for their asset allocation and risk management decisions. Using a large set of fundamental and technical variables, the authors estimate single predictor models, combination forecasts, and multivariate regression models. Forming hypothetical funds-of-funds portfolios based on predicted returns generates economic gains for investors, especially during crisis times. Combination approaches and multivariate models reduce estimation uncertainty and lead to economic gains across different market environments.TOPICS: Mutual funds/passive investing/indexing, real assets/alternative investments/private equity, performance measurement, developed markets